V-Lab
Amazon.com Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
35.33%
decreased by 1.33%
1 Week
35.50%
decreased by 1.16%
1 Month
36.17%
decreased by 0.49%
Analysis last updated: Friday, July 24, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 16, 1997 to Jul 24, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 664 trading days (~2.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.32 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 27.7646 | 8.60*** |
α ARCH Response to squared shocks | 0.0546 | 80.89*** |
β GARCH Volatility persistence | 0.9990 | 8,840.32*** |
ν DF Student-t tail thickness | 4.3186 | 52.04*** |
Persistence:
0.999
Half-life:
664 days
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